CHINESE JOURNAL OF APPLIED PROBABILITY AND STATIST 2013, 29(4) 433-442 DOI:      ISSN: 1001-4268 CN: 31-1256

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B-Spline Estimation for Varying-Coefficient Single-Index Model

Zhang Yu, Xia Chuanxiao, Zeng Linrui

Mathematical College, Sichuan University; School of Finance and Statistics, East China Normal University

Abstract��

The varying-coefficient single-index
models (VCSIM) have been applied in many fields since they combine
the advantages of single-index models and varying-coefficient
models. In this paper, their estimation method is proposed based on
B-spline approximation technique and two calculation methods can be
used. The first one is to directly calculate the parametric and
nonparametric parts simultaneously by Newton-Raphson iteration
algorithm. The second one is to calculate the two parts by profile
method individually. We suggest that the second method is for our
preference when the large amount of parameters are involved,
otherwise the first method will be more convenient. Two simulated
examples are given to illustrate the performances of the proposed
estimation methodologies and calculation procedures.

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Corresponding Authors: Zhang Yu
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